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• Main Authors: Shy-Chern Lin, 林詩宸
• Other Authors: Chien-Fu Chen
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/04839368391408440861

碩士 === 國立東華大學 === 國際經濟研究所 === 93 === Monetary policy has always play an important role in macroeconomic, and the Central Bank would intervene and modulate the economy cycle in the process of economical development. The final effect of monetary policy, the expansion or recession state of economy and the influence of tight or easy implement policy have become important topics in the academic field gradually. In past studies, two-step procedure (Cover, 1992; Morgan, 1993) or VAR model are generally used models on this topic, but these empirical methodologies are unable to regard to the relevant money parameter as endogenous and couldn’t identify regimes. For this purpose we use the Markov switching model to solve the problem (see Ehrmann et al., 2003) , and add the regime-dependent impulse response functions to analyze the non-linear response of external shocks. The sample period of this paper is 1962:3 to 2004:4 and our variables are M1B, Discount Rate, CPI, and GDP. Therefore, we use the two and three variate Markov switching model to examine this topic. Two important results are obtained: first, we find that there are asymmetric effects of Taiwan monetary policy and effects are heavier on recession than expansions. Second, the response of GDP to external shocks also has more sensibility on recession than expansions.